To investigate or not?

“If you publish it, something can happen to your family.” “We know where you live.” Many investigative journalists often hear such sentences. They are being threatened in everyday life. Although we live in 21st century in the times of democracy, in reality even in Europe we don`t always have the freedom of speech. What should the journalist do if they are being threatened? Just go to the police? What if the police was the one who is threatening us? On